Essays about: "MRS-GARCH"

Found 2 essays containing the word MRS-GARCH.

1. 1. Evaluating Switching GARCH Volatility Forecasts During the Recent Financial Crisis

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Viktor Augustsson; [2014]
   Keywords : MRS-GARCH; Out of Sample Evaluation; DM Test; Bombay Sensex; Standard Poor s 500; Business and Economics;

   Abstract : Forecasting volatility is a fundamental topic in in both academic and applied financial economics. Different GARCH-specifications are by far the most popular model based approach used for this purpose. This thesis evaluates the forecast accuracy of some specific GARCH-models; GARCH, EGARCH, APGARCH and MRS-GARCH. READ MORE

3. 2. The performance of time-varying volatility and regime switching models in estimating Value-at-Risk

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Alina Birtoiu; Florin George Dragu; [2012]
   Keywords : Business and Economics;

   Abstract : Markov Regime-Switching GARCH (MRS-GARCH) models have been gaining popularity due to their ability to account for shifts volatility regimes that tend to characterize returns series. Previous empirical studies have shown that this capacity to capture the volatility dynamics leads to a superior forecasting power of the MRS models. READ MORE